Asset management
GFXC set to tackle reject codes
Co-vice-chair Neill Penney says group will seek to bring clarity to codes assigned to rejected FX trades
The sticky question of Europe’s oil-ridden ESG funds
NN Investment Partners SFDR fund holds 91% of investments in oil and gas companies
Performance measures adjusted for the risk situation (PARS)
This paper proposes the use of a new class of performance measures adjusted for the risk situation (PARS), as the perception of risk depends on the individual situation including risk preferences.
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Quants split on who wins in the alt-data gold rush
Scale helps in handling new data, but alpha may be found in niche strategies
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
The case for reinforcement learning in quant finance
The technology behind Google’s AlphaGo has been strangely overlooked by quants
Risk technology to navigate future risk
Risk technology, data strategy and innovation audiocast series (part 1 of a series of 3)
Data and risk strategies to hedge against future black swan events
Risk technology, data strategy and innovation audiocast series (part 2 of a series of 3)
Use of proxy data in green asset ratios hangs in the balance
EU proposals to exclude non-EU firms from numerator may reduce ratio’s effectiveness
EU and UK climate rules may lead to a disorderly transition
Asset managers can wait until 2024 to disclose the carbon emitted by their investments
Green figures: EU funds search for sustainable taxonomy data
Fund managers must report compliance with taxonomy before many investee companies
Shades of green: sustainability guidance may not help EU funds
Talk of high SFDR hurdle for ESG funds stokes fears “sustainable” label will be unobtainable
Asia moves: Deutsche appoints Asia-Pacific treasurer, Citi boosts Australian sales team, and more
Latest job news across the industry
Regulators setting climate rules would be ‘enormous failure’
Risk Live: ‘Trust markets’ not regulators to move capital away from big carbon emitters, says LGIM
Regulators must make firms reveal climate risk – MSCI, FRR
Asset managers need accurate data on carbon emissions, followed by targets to lower them
Acadian builds ‘green screen’ to auto-filter ESG phoneys
$110 billion quant investor creates automated system to spot greenwashers
US Treasuries: a venerable market in need of fresh thinking
The world’s most important market has evolved ad hoc; bringing order to it will be no small task
Quant investing in cluster portfolios
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
Invesco bets on new tech to refine its FX trading
Home-grown tool will improve order routing and execution strategies, asset manager believes
BNP Paribas AM turns to machine learning for carbon emissions
AI may help fund manager count emissions that companies fail to report
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Asia moves: Natixis hires two in Asia, Sumitomo boosts corporate banking, and more
Latest job news across the industry
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed